def load_data(self, sid): print('txnview load ', sid) for ax in self.fig.axes: ax.clear() datapath = os.path.realpath( os.path.join(os.getcwd(), os.path.dirname(__file__))) datapath = datapath + '/../../pyfolio/tests/test_data/' test_returns = pd.read_csv(gzip.open(datapath + 'test_returns.csv.gz'), index_col=0, parse_dates=True) test_returns = to_series(to_utc(test_returns)) test_txn = to_utc( pd.read_csv(gzip.open(datapath + 'test_txn.csv.gz'), index_col=0, parse_dates=True)) test_pos = to_utc( pd.read_csv(gzip.open(datapath + 'test_pos.csv.gz'), index_col=0, parse_dates=True)) positions = utils.check_intraday('infer', test_returns, test_pos, test_txn) plotting.plot_turnover(test_returns, test_txn, positions, ax=self.ax_turnover) plotting.plot_daily_volume(test_returns, test_txn, ax=self.ax_daily_volume) try: plotting.plot_daily_turnover_hist(test_txn, positions, ax=self.ax_turnover_hist) except ValueError: warnings.warn('Unable to generate turnover plot.', UserWarning) plotting.plot_txn_time_hist(test_txn, ax=self.ax_txn_timings) for ax in self.fig.axes: plt.setp(ax.get_xticklabels(), visible=True) self.draw()
def load_data(self, sid): print('posview load ', sid) for ax in self.fig.axes: ax.clear() datapath = os.path.realpath( os.path.join(os.getcwd(), os.path.dirname(__file__))) datapath = datapath + '/../../pyfolio/tests/test_data/' test_returns = pd.read_csv(gzip.open(datapath + 'test_returns.csv.gz'), index_col=0, parse_dates=True) test_returns = to_series(to_utc(test_returns)) test_txn = to_utc( pd.read_csv(gzip.open(datapath + 'test_txn.csv.gz'), index_col=0, parse_dates=True)) test_pos = to_utc( pd.read_csv(gzip.open(datapath + 'test_pos.csv.gz'), index_col=0, parse_dates=True)) positions = utils.check_intraday('infer', test_returns, test_pos, test_txn) positions_alloc = pos.get_percent_alloc(positions) plotting.plot_exposures(test_returns, positions, ax=self.ax_exposures) plotting.plot_holdings(test_returns, positions_alloc, ax=self.ax_holdings) plotting.plot_long_short_holdings(test_returns, positions_alloc, ax=self.ax_long_short_holdings) plotting.plot_gross_leverage(test_returns, positions, ax=self.ax_gross_leverage) for ax in self.fig.axes: plt.setp(ax.get_xticklabels(), visible=True) self.draw()
def test_check_intraday(self, estimate, returns, positions, transactions, expected): detected = check_intraday(estimate, returns, positions, transactions) assert_frame_equal(detected, expected)
def test_check_intraday(self, estimate, returns, positions, transactions, expected): detected = check_intraday(estimate, returns, positions, transactions) assert_frame_equal(detected, expected)